Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0845
Annualized Std Dev 0.2640
Annualized Sharpe (Rf=0%) -0.3202

Row

Daily Return Statistics

Close
Observations 3393.0000
NAs 1.0000
Minimum -0.1824
Quartile 1 -0.0068
Median 0.0000
Arithmetic Mean -0.0002
Geometric Mean -0.0004
Quartile 3 0.0073
Maximum 0.2075
SE Mean 0.0003
LCL Mean (0.95) -0.0008
UCL Mean (0.95) 0.0003
Variance 0.0003
Stdev 0.0166
Skewness -0.3890
Kurtosis 19.5253

Downside Risk

Close
Semi Deviation 0.0123
Gain Deviation 0.0117
Loss Deviation 0.0139
Downside Deviation (MAR=210%) 0.0169
Downside Deviation (Rf=0%) 0.0124
Downside Deviation (0%) 0.0124
Maximum Drawdown 0.8108
Historical VaR (95%) -0.0239
Historical ES (95%) -0.0420
Modified VaR (95%) -0.0228
Modified ES (95%) -0.0228
From Trough To Depth Length To Trough Recovery
2007-10-01 2020-03-23 NA -0.8108 3392 3141 NA
2007-09-27 2007-09-27 2007-09-28 -0.0074 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA -2 -1 4.3 -0.4 0.8
2008 -0.9 -3.5 3.6 0.4 0.9 -0.1 -0.3 0.1 4.7 1.8 -5.8 2.7 3.3
2009 0 -3.9 0.6 2.1 2 2 2.7 -1.8 0.4 -3.1 -0.5 1.1 1.4
2010 0.9 1.7 -1.2 -1.3 -1.4 -1.3 0.9 2.5 0.5 1.3 0.8 -1 2.4
2011 2 0.7 -1.3 0.8 0.7 0.8 0.8 0.7 -2.8 -0.4 1.3 0.5 3.7
2012 -2.3 0.2 2 2.4 -1.4 1.8 0.2 1.2 0.1 2.5 0.8 1.5 9.3
2013 -0.2 0.8 0.3 -0.6 0.4 1.1 0.5 -0.7 0.6 2.5 -1 0.1 3.8
2014 1.6 -1.2 -2.1 -0.4 0.2 -1.2 -0.6 -0.9 0.4 0.5 -0.7 -1.2 -5.6
2015 0.9 0.3 0.3 -1.4 -0.9 0.5 -0.1 -2.3 0.6 1 1.9 1.9 2.6
2016 3 1.1 0.6 -1.7 -0.5 2.6 -0.6 0.6 1.2 -0.5 -1.4 -0.8 3.6
2017 -1.1 0.2 0.9 -0.8 0 0.2 -0.3 -0.1 -0.1 -0.8 0.9 0.2 -0.8
2018 -0.5 0 -1.1 0.2 0.6 0.9 0.2 -0.1 -0.7 0.6 0.4 2.5 2.9
2019 0.4 -0.1 1.2 0.4 -1.9 0.4 -0.6 -0.6 -1 0.1 0 1.4 -0.2
2020 -1.4 -6 -4.6 -1.7 0.2 1.3 -0.2 -0.7 0.4 -2.5 1.6 0.4 -12.6
2021 1.3 0.9 0.8 NA NA NA NA NA NA NA NA NA 3

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart